Explicitly including cost in marine conservation planning is essential for achieving feasible and efficient conservation outcomes. Yet, spatial priorities for marine conservation are still often based solely on biodiversity hotspots, species richness, and/or cumulative threat maps. This study aims to provide an approach for including cost when planning large-scale Marine Protected Area (MPA) networks that span multiple countries. Here, we explore the incorporation of cost in the complex setting of the Mediterranean Sea. In order to include cost in conservation prioritization, we developed surrogates that account for revenue from multiple marine sectors: commercial fishing, noncommercial fishing, and aquaculture. Such revenue can translate into an opportunity cost for the implementation of an MPA network. Using the software Marxan, we set conservation targets to protect 10% of the distribution of 77 threatened marine species in the Mediterranean Sea. We compared nine scenarios of opportunity cost by calculating the area and cost required to meet our targets. We further compared our spatial priorities with those that are considered consensus areas by several proposed prioritization schemes in the Mediterranean Sea, none of which explicitly considers cost. We found that for less than 10% of the Sea's area, our conservation targets can be achieved while incurring opportunity costs of less than 1%. In marine systems, we reveal that area is a poor cost surrogate and that the most effective surrogates are those that account for multiple sectors or stakeholders. Furthermore, our results indicate that including cost can greatly influence the selection of spatial priorities for marine conservation of threatened species. Although there are known limitations in multinational large-scale planning, attempting to devise more systematic and rigorous planning methods is especially critical given that collaborative conservation action is on the rise and global financial crisis restricts conservation investments.